H∞ Filtering for Markovian Jump Linear Systems with Uncertain Transition Probabilities

This paper studies the H∞ filtering problem of stochastic linear systems subject to Markovian jump and multiplicative noise. The transition probabilities are considered be uncertain. A unified form filters is constructed for both continuous-time discrete-time systems. With new decoupling technique coupling terms between Lyapunov matrices parameters, sufficient conditions stability performance error system derived. Based on these conditions, filter designed with less gain obtained by calculating a set matrix inequalities. Finally, three examples presented test effectiveness method.